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Social and Behavioral Sciences Commons™
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- Mechanism design (33)
- Asymptotic size (26)
- Bayes correlated equilibrium (25)
- Incomplete information (25)
- Unit root (25)
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- Game theory (18)
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- Weak instruments (18)
- Brownian motion (17)
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- General equilibrium (17)
- Long memory (17)
- Unit roots (17)
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Articles 1801 - 1830 of 2768
Full-Text Articles in Social and Behavioral Sciences
The Generalized Basis Reduction Algorithm, Herbert E. Scarf, László Lovász
The Generalized Basis Reduction Algorithm, Herbert E. Scarf, László Lovász
Cowles Foundation Discussion Papers
Let F ( x ) be a convex function defined in R n , which is symmetric about the origin and homogeneous of degree 1, and let L be the lattice of integers Z n . A definition of a reduced basis, b 1 , …, b n , of the lattice with respect to the distance function F is presented, and we describe an algorithm which yields a reduced basis in polynomial time, for fixed n. In the special case in which the bodies { x : F ( x ) < t } are ellipsoids, the definition of a reduced basis is identical with that given by Lenstra, Lenstra and Lovasz (1982) and the algorithm is the well known basis reduction algorithm. We show that the basis vector b 1 , in a reduced basis, is an approximation to a shortest non-zero lattice point with respect to F and relate the basis vectors b i to Minkowski’s successive minima. The results lead to an algorithm for integer programming which executes in polynomial time for fixed n, but which avoids the ellipsoidal approximation required by Lenstra’s algorithm. We also discuss the properties of a Korkine-Zolotarev basis for the lattice.
Voting By Committees, Salvador Barberà, Hugo Sonnenschein, Lin Zhou
Voting By Committees, Salvador Barberà, Hugo Sonnenschein, Lin Zhou
Cowles Foundation Discussion Papers
Problems of social choice frequently take the following form. There are n voters and a set K = (1,2,…, k ) of objects. The voters must choose a subset of K . We define a class of voting schemes called voting by committees. The main result of the paper is a characterization of voting by committees, which is the class of all voting schemes that satisfy voter sovereignty and non-manipulability on the domain of separable preferences. This result is analogous to the literature on the Groves and Clarke scheme in that it characterizes all of the non-manipulable voting schemes on …
Further Evidence On The Great Crash, The Oil Price Shock, And The Unit Root Hypothesis, Eric Zivot, Donald W.K. Andrews
Further Evidence On The Great Crash, The Oil Price Shock, And The Unit Root Hypothesis, Eric Zivot, Donald W.K. Andrews
Cowles Foundation Discussion Papers
Recently Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. His analysis covers the Nelson-Plosser macroeconomic data series as well as a post-war quarter real GNP series. His tests reject the unit root null hypothesis for most of the series. This paper takes issue with the assumption used by Perron that the Great Crash and the oil price shock can be treated as exogenous events. A variation of Perron’s test is …
Tests For Parameter Instability And Structural Change With Unknown Change Point, Donald W.K. Andrews
Tests For Parameter Instability And Structural Change With Unknown Change Point, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper considers tests of parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models including models that satisfy maximum likelihood type regularity conditions and models that are suitable for estimation by generalized method of moments procedures. The paper considers likelihood ratio and likelihood ratio like tests, as well as asymptotically equivalent Wald and Lagrange multiplier tests. Each test implicitly uses an estimate of change point. Tests of both “pure” and “partial” structural change are discussed.
Financial Integration, Liquidity And Exchange Rates, Vittorio Grilli, Nouriel Roubini
Financial Integration, Liquidity And Exchange Rates, Vittorio Grilli, Nouriel Roubini
Cowles Foundation Discussion Papers
We present a two-country extension of Lucas’ (1988) work on how cash-in-advance constraints in asset markets affect the pricing of financial assets. In the model, there is some degree of separation between the goods markets and the assets markets, and money is used for transactions in both markets. The main results of the paper are the following. First, the equilibrium level of the exchange rate depends on the share of money used for asset transactions; a greater share corresponds to a more appreciated currency. Second, under uncertainty the liquidity effects deriving from stochastic shocks to bond creation lead to an …
Generic Uniform Convergence, Donald W.K. Andrews
Generic Uniform Convergence, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper presents several generic uniform convergence results that include generic uniform laws of large numbers. These results provide conditions under which pointwise convergence almost surely or in probability can be strengthened to uniform convergence. The results are useful for establishing asymptotic properties of estimators and test statistics. The results given here have the following attributes, (1) they extend results of Newey to cover convergence almost surely as well as convergence in probability, (2) they apply to totally bounded parameter spaces (rather than just to compact parameter spaces), (3) they introduce a set of conditions for a generic uniform law …
An Improved Heteroskedasticity And Autocorrelation Consistent Covariance Matrix Estimator, Donald W.K. Andrews, Christopher J. Monahan
An Improved Heteroskedasticity And Autocorrelation Consistent Covariance Matrix Estimator, Donald W.K. Andrews, Christopher J. Monahan
Cowles Foundation Discussion Papers
This paper considers a new class of heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators. The estimators considered are prewhitened kernel estimators with vetor autoregressions employed in the prewhitening stage. The paper establishes consistency, rate of convergence, and asymptotic truncated mean squared error (MSE) results for the estimators when a fixed or automatic bandwidth procedure is employed. Conditions are obtained under which prewhitening improves asymptotic truncated MSE. Monte Carlo results show that prewhitening is very effective in reducing bias, improving confidence interval coverage probabilities, and rescuing over-rejection of t -statistics constructed using kernel-HAC estimators. On the other hand, prewhitening is …
A Colored Version Of Tverberg's Theorem, Imre Bárány, D. G. Larman
A Colored Version Of Tverberg's Theorem, Imre Bárány, D. G. Larman
Cowles Foundation Discussion Papers
The main result of this paper is that given n red, n white, and n green points in the plane, it is possible to form n vertex-disjoint triangles Δ 1 ,…,Δ n in such a way that the Δ i has one one red, one white, and one green vertex for every i = 1,…, n and the intersection of these triangles is nonempty.
Aggregation And Social Choice: A Mean Voter Theorem, Andrew S. Caplin, Barry Nalebuff
Aggregation And Social Choice: A Mean Voter Theorem, Andrew S. Caplin, Barry Nalebuff
Cowles Foundation Discussion Papers
A celebrated result of Black (1984a) demonstrates the existence of a simple majority winner when preferences are single-peaked. The social choice follows the preferences of the median voter’s most preferred outcome beats any alternative. However, this conclusion does not extend to elections in which candidates differ in more than one dimension. This paper provides a multi-dimensional analog of the median voter result. We show that the mean voter’s most preferred outcome is unbeatable according to a 64%-majority rule. The weaker conditions supporting this result represent a significant generalization of Caplin and Nalebuff (1988). The proof of our mean voter result …
Aggregation And Imperfect Competition: On The Existence Of Equilibrium, Andrew S. Caplin, Barry Nalebuff
Aggregation And Imperfect Competition: On The Existence Of Equilibrium, Andrew S. Caplin, Barry Nalebuff
Cowles Foundation Discussion Papers
We present a new approach to the theory of imperfect competition and apply it to study price competition among differentiated products. The central result provides general conditions under which there exists a pure strategy price equilibrium for any number of firms producing any set of products. This includes products with multi-dimensional attributes. In addition to the proof of existence, we provide conditions for uniqueness. Our analysis covers location models, the characteristic approach, and probabilistic choice together in a unified framework. To prove existence, we employ aggregation theorems due to Prekopa (1971) and Borell (1975). Our companion paper [CFDP 938] introduces …
Testing Game-Theoretic Models Of Price-Fixing Behaviour, Vassilis A. Hajivassiliou
Testing Game-Theoretic Models Of Price-Fixing Behaviour, Vassilis A. Hajivassiliou
Cowles Foundation Discussion Papers
This paper analyzes price fixing by the Joint Executive Committee railroad cartel from 1880 to 1886 and develops tests of two game-theoretic models of tacit collusion. The first model, due to Abreu, Pearce and Stacchetti (1986), predicts that price will switch across regimes according to a Markov process. The second, by Rotemberg and Saloner (1986), postulates that price wars are more likely in periods of high industry demand. Switching regressions are used to model the firms’ shifting between collusive and punishment behavior. The main econometric novelty in the estimation procedures introduced in this paper is that misclassification probabilities are allowed …
Growth And Distribution: A Neoclassical Kaldor-Robinson Exercise, James Tobin
Growth And Distribution: A Neoclassical Kaldor-Robinson Exercise, James Tobin
Cowles Foundation Discussion Papers
Kaldor’s capital/labor income distribution theory relied on differential saving propensities from profits and wages. Robinson’s growth models typically specified constant-coefficient technologies in which marginal productivities cannot determine distribution. Here these two insights are combined in a two-sector (capital goods, consumption goods) economy. Two technologies are available, but only as either-or alternatives. The choice of technology and the income distribution depend on the saving propensities. Steady-state consumption need not be greater when the economy is more capitalized and profit rates are lower.
On The Theory Of Macroeconomic Policy, James Tobin
On The Theory Of Macroeconomic Policy, James Tobin
Cowles Foundation Discussion Papers
Jan Tinbergen was and is of course a scientist, full of curiosity about how the world works. But his motivation has always been more than curiosity. He wants to know how the world works so that he can make it work better. Knowledge is the foundation of policy. It was natural for Tinbergen to set forth a formal theory of policy nearly fifty years ago and it was equally natural from him to relate the theory to practical problems of policy in the Netherlands and else where and to implement it and illustrate it with the help of theoretical and …
Mathematical Programming And Economic Theory, Herbert E. Scarf
Mathematical Programming And Economic Theory, Herbert E. Scarf
Cowles Foundation Discussion Papers
The paper discusses the analogy between economic institutions and algorithms for the solution of mathematical programming problems. The simplex method for solving linear programs can be interpreted as a search for market prices that equilibrate the demand for factors of production with their supply. An interpretation in terms of the internal organization of the large firm is offered for Lenstra’s integer programming algorithm.
Observability And Optimality, John Geanakoplos, Heracles M. Polemarchakis
Observability And Optimality, John Geanakoplos, Heracles M. Polemarchakis
Cowles Foundation Discussion Papers
Observability of an individual’s excess demand function for assets and commodities as all prices and revenue vary suffices in order to recover his von Neumann-Morgenstern utility function. This is generically the case, even when the asset market is incomplete and the cardinal utility indices state dependent, as long as there are at least two commodities traded in spot markets at each state of nature. On the contrary, if the response of individuals’ excess demand for assets as prices in spot commodity markets vary is not observable, recoverability fails when the asset market is incomplete. In particular, it is not possible …
Solving Systems Of Simultaneous Equations In Economics, John Geanakoplos, Wayne Shafer
Solving Systems Of Simultaneous Equations In Economics, John Geanakoplos, Wayne Shafer
Cowles Foundation Discussion Papers
We show that there is a broad range of systems of simultaneous equations that arise in economics as descriptions of equilibrium that can be solved in elementary fashion via degree theory. Some of these systems are not susceptible to analysis by standard Brouwer fixed point methods. Two of our applications are to general equilibrium with incomplete markets, and to nonconvex production with noncompetitive pricing rules.
Alternative Approaches To The Political Business Cycle, William D. Nordhaus
Alternative Approaches To The Political Business Cycle, William D. Nordhaus
Cowles Foundation Discussion Papers
This paper reviews the theory and evidence concerning Political Business Cycles (PBC), which are based on the obvious facts of democratic life that voters care about the economy while politicians care about power. The first section provides an overview of different approaches to political cycles, describing five models that have been used in different contexts. The next two sections review major theoretical issues, with attention to the “microfoundations” of politico-economic systems, an exploration of the implications of ideological parties for political equilibria, and a formal analysis of a number of different PBC models. The empirical sections begin with an analysis …
Testing For A Unit Root In The Presence Of Deterministic Trends, Peter C.B. Phillips, Peter Schmidt
Testing For A Unit Root In The Presence Of Deterministic Trends, Peter C.B. Phillips, Peter Schmidt
Cowles Foundation Discussion Papers
This paper provides a new unit root test based on an alternative parameterization which has previously been considered by Bhargava (1986). This parameterization allows for trend under both the null and the alternative, without introducing any parameters that are irrelevant under either. This is not so in the Dickey-Fuller parameterizations. The new test is extracted from the score or LM principle under the assumption that the errors are iid N(0, sigma squared (epsilon)), but our asymptotics hold under more general assumptions about the errors. Two forms of the test (a coefficient test and at t-test) are derived.
Estimating Long Run Economic Equilibria, Peter C.B. Phillips, Mico Loretan
Estimating Long Run Economic Equilibria, Peter C.B. Phillips, Mico Loretan
Cowles Foundation Discussion Papers
Our subject is econometric estimation and inference concerning long-run economic equilibria in models with stochastic trends. Our interest is focused on single equation specifications such as those employed in the Error Correction Model (ECM) methodology of David Hendry (1987, 1989 inter alia) and the semiparametric modified least squares method of Phillips and Hansen (1989). We start by reviewing the prescriptions for empirical time series research that are presently available. We argue that the diversity of choices is confusing to practitioners and obscures the fact that statistical theory is clear about optimal inference procedures. Part of the difficulty arises from the …
Asymptotics For Linear Processes, Peter C.B. Phillips, Victor Solo
Asymptotics For Linear Processes, Peter C.B. Phillips, Victor Solo
Cowles Foundation Discussion Papers
A method of deriving asymptotics for linear processes is introduced which uses an explicit algebraic decomposition of the linear filter. The method leads to substantial simplifications in the asymptotics and offers a unified approach to strong laws and central limit theory for linear processes. Sample means and sample covariances are covered. The results also accommodate both homogeneous and heterogeneous innovations as well as innovations with undefined means and variances.
Asymptotic And Finite Sample Distribution Theory For Iv Estimators And Tests In Partially Identified Structural Equations, In Choi, Peter C.B. Phillips
Asymptotic And Finite Sample Distribution Theory For Iv Estimators And Tests In Partially Identified Structural Equations, In Choi, Peter C.B. Phillips
Cowles Foundation Discussion Papers
General formula for the finite sample and asymptotic distributions of the instrumental variable estimators and the Wald statistics in a simultaneous equation model are derived. It is assumed that the coefficient vectors of both endogenous and exogenous variables are only partially identified, even though the order condition for identification is satisfied. This work extends previous results in Phillips (1989) where the coefficient vector of the exogenous variables is partially identified and that of the endogenous variables is totally unidentified. The effect of partial identification on the finite sample and asymptotic distributions of the estimators and the Wald statistics is analyzed …
Inflationary Expectations And Price Setting Behavior, Ray C. Fair
Inflationary Expectations And Price Setting Behavior, Ray C. Fair
Cowles Foundation Discussion Papers
This paper tests for the existence of expectational effects in very disaggregate price equations. Price equations are estimated using monthly data for each of 40 products. The dynamic specification of the equations is also tested, including whether the equations should be specified in level form or in change form. Two expectational hypotheses are used, one in which expectations of the aggregate price level and one in which expectations are rational. Under the first hypothesis the lag length is estimated along with the other parameters, and under the second hypothesis the lead length is estimated along with the other parameters. The …
Risk Analysis In Economics: An Application To University Finances, William D. Nordhaus
Risk Analysis In Economics: An Application To University Finances, William D. Nordhaus
Cowles Foundation Discussion Papers
Although the theory of decision making under uncertainty has been extensively studied for a half century, applications to business applications are relatively rare. This study frames a systematic risk analysis and applies the technique to the finances of private colleges and universities. It begins by constructing budgets for colleges and universities and then analyzes the major economic factors affecting those budgets. It estimates the variability (or unpredictability) associated with each major external variable from historical data and from economic forecasts. The study finds that government-spending risks outweigh all other external stock market, interest rates, inflation, and wage trends. The paper …
Additive Interactive Regression Models: Circumvention Of The Curse Of Dimensionality, Donald W.K. Andrews, Yoon-Jae Whang
Additive Interactive Regression Models: Circumvention Of The Curse Of Dimensionality, Donald W.K. Andrews, Yoon-Jae Whang
Cowles Foundation Discussion Papers
This paper considers series estimators of additive interactive regression (AIR) models. AIR models are nonparametric regression models that generalize additive regression models by allowing interactions between different regressor variables. They place more restrictions on the regression function, however, than do fully nonparametric regression models. By doing so, they attempt to circumvent the curse of dimensionality that afflicts the estimation of fully nonparametric regression models. In this paper, we present a finite sample bound and asymptotic rate of convergence results for the mean average squared error of series estimators that show the AIR models do circumvent the curse of dimensionality. The …
Full Information Estimation And Stochastic Simulation Of Models With Rational Expectations, Ray C. Fair, John B. Taylor
Full Information Estimation And Stochastic Simulation Of Models With Rational Expectations, Ray C. Fair, John B. Taylor
Cowles Foundation Discussion Papers
A computationally feasible method for the full information maximum likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this paper should open the way for many more tests of the rational expectations hypothesis within macroeconomic models.
Warranties, Durability, And Maintenance: Two Sided Moral Hazard In A Continuous-Time Model, Philip H. Dybvig, Nancy A. Lutz
Warranties, Durability, And Maintenance: Two Sided Moral Hazard In A Continuous-Time Model, Philip H. Dybvig, Nancy A. Lutz
Cowles Foundation Discussion Papers
We consider the provision of an optimal warranty in a continuous-time model with two-sided moral hazard. The optimal warranty must balance the producer’s durability incentive and the buyer’s maintenance incentive. Too little warranty protection gives the producer too much incentive to produce low durability, while too much warranty protection gives the consumer too much incentive to neglect maintenance. The derived optimal warranty is a “block warranty” that is high for an initial block of time and zero thereafter. The first-best would be available under a very high warranty for a very short time interval, except for the incentive this would …
The Reconciliation Of Micro And Macro Economics, Martin Shubik
The Reconciliation Of Micro And Macro Economics, Martin Shubik
Cowles Foundation Discussion Papers
It is suggested that the appropriate structure for the reconciliation of micro and macroeconomics is an infinite horizon overlapping generations (OLG) model with many finitely lived natural persons and one infinitely lived strategic player without preferences whose choice rule is determined by the periodic political choice of the finitely lived players who are alive and politically strategically active at the time of choice. This player may be interpreted as government. In the steps from the finite horizon general equilibrium (GE) model to the overlapping generations model (GGOLG) it is suggested that even without exogenous uncertainty, if economic efficiency is to …
Neighbors Of The Origin For Four By Three Matrices, David F. Shallcross
Neighbors Of The Origin For Four By Three Matrices, David F. Shallcross
Cowles Foundation Discussion Papers
Scarf has defined a neighborhood system for families of integer programs where the right-hand side is allowed to vary. This system depends on a matrix A of constraint and objective function coefficients of the integer programs. This paper characterizes the set of neighbors of the origin when A is four by three; showing that it may be described as the set of integer vectors in a union of two-dimensional polyhedra, where the number of polyhedra is quadratic in the bit size of A .
A Nonparametric Maximum Rank Correlation Estimator, Rosa L. Matzkin
A Nonparametric Maximum Rank Correlation Estimator, Rosa L. Matzkin
Cowles Foundation Discussion Papers
This paper presents a nonparametric and distribution-free estimator for the function h*, of observable exogenous variables, x, in the generalized regression model, y - G(h*(x), mu). The method does not require a parametric specification for either the function h* or for the distribution of the random term mu. The estimation proceeds by maximizing a rank correlation criterion (Han (1987)) over a set of functions that are monotone increasing, concave, and homogeneous degree one; the function h* is assumed to belong to this set of functions. The estimator is shown to be strongly consistent.
Existence Of Walras Equilibrium Without A Price Player Of Generalized Game, John Geanakoplos, Pradeep Dubey
Existence Of Walras Equilibrium Without A Price Player Of Generalized Game, John Geanakoplos, Pradeep Dubey
Cowles Foundation Discussion Papers
We derive the existence of a Walras equilibrium directly from Nash’s theorem on noncooperative games. No price player is involved, nor are generalized games.